A bit of a mouthful of a title, but I have discovered in the process of trying to build some Virtual Machines to play on, that the above four pieces of software are not always friends.
A clean install of PerformancePoint Server 2007 (PPS) against SQL Server 2008 (SQL2K8) is not directly possible, even at PPS Service Pack 2 (SP2). There is an approach documented on TechNet which involves installing some SQL2K5 components (See scenario 3 of this article: http://technet.microsoft.com/en-us/library/cc514367.aspx) but I couldn’t get it to play ball. I would guess that PPS2007 won’t properly integrate with SQL2K8 for a while yet, so if you are installing PPS2007, do it against SQL2K5 SP2.
Next up, SQL2K5 won’t install cleanly on a vanilla install of Windows Server 2008 (Win2K8). You need to enable the Web Server Role, and then enable features as described in this KnowledgeBase article (http://support.microsoft.com/kb/938245/) – it’s not complicated. It also throws up a warning to patch SQL2K5 to SP2 when running the installer, but I would advise you did that on any install anyway.
Installations are never easy!